Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0642
Annualized Std Dev 0.3926
Annualized Sharpe (Rf=0%) 0.1635

Row

Daily Return Statistics

Close
Observations 3499.0000
NAs 1.0000
Minimum -0.1974
Quartile 1 -0.0101
Median 0.0013
Arithmetic Mean 0.0006
Geometric Mean 0.0002
Quartile 3 0.0123
Maximum 0.2616
SE Mean 0.0004
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0014
Variance 0.0006
Stdev 0.0247
Skewness 0.1675
Kurtosis 12.7087

Downside Risk

Close
Semi Deviation 0.0178
Gain Deviation 0.0178
Loss Deviation 0.0193
Downside Deviation (MAR=210%) 0.0218
Downside Deviation (Rf=0%) 0.0175
Downside Deviation (0%) 0.0175
Maximum Drawdown 0.7948
Historical VaR (95%) -0.0351
Historical ES (95%) -0.0598
Modified VaR (95%) -0.0326
Modified ES (95%) -0.0326
From Trough To Depth Length To Trough Recovery
2007-05-22 2009-03-09 2014-10-24 -0.7948 1851 453 1398
2020-02-19 2020-03-23 NA -0.6267 275 24 NA
2015-01-30 2015-09-04 2016-03-17 -0.3181 278 151 127
2017-11-15 2018-02-08 2018-12-10 -0.2730 252 57 195
2016-07-07 2016-11-14 2017-05-25 -0.2492 218 92 126

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA 0.7 -0.9 2.1 -1.2 0.3 5.6 1.2 2.5 -3.4 -0.1 -2 4.6
2008 3.5 -5.4 5.8 1.1 0.1 1 -4.1 -3.5 -0.7 -2.9 -13.2 4.5 -14.3
2009 -4.4 -2.9 0.8 4.3 7.5 3.1 -1.5 -1.5 -3.5 -4 3.7 -3 -2.3
2010 0.6 2.3 1.6 1.2 -5.6 -0.5 -1 5.2 1.5 -2.3 2.5 -0.3 4.8
2011 1.8 -1.3 1.2 0.5 -1.4 2.6 -0.4 -1.1 -1.6 -4.8 -0.5 -1.2 -6.2
2012 1.2 0 0.8 1.1 -1.7 1.8 -1.1 -0.6 -0.5 -1.9 2.2 0.5 1.6
2013 0.9 -0.2 0.4 -2.2 -0.6 -1.1 0.5 -1.5 0.4 1.6 -0.7 0.4 -2.1
2014 1.2 0.5 -1 0.5 0.9 -1.6 0.5 1.4 -1.2 0.8 0.2 -3.5 -1.3
2015 -4.3 0 0.1 1.9 0.5 0.4 2.2 -5.5 -2.5 0.4 0.4 -1.4 -7.8
2016 3.5 -1.8 1.1 0.8 1.6 -0.1 0 0 0.2 -4.6 -4.2 -1.5 -5.2
2017 -3.1 -2.2 -1 -0.9 0 -0.7 1.4 -0.6 -0.2 -1.2 -0.2 -0.2 -8.7
2018 -2.1 -0.2 1.1 -0.3 -2.6 -0.3 -2.3 -0.6 -0.7 -2 3.3 0.2 -6.3
2019 -1.2 0.2 -1.3 -2.1 1 -0.7 1.8 0.6 -0.8 -0.3 -0.4 1.1 -2
2020 -0.8 -8.5 -11.9 -5.9 2.4 4.3 0.1 -2.7 1.4 -2.5 1.6 3 -18.8
2021 0.9 3.6 0.6 NA NA NA NA NA NA NA NA NA 5.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-01  23.6 SPY    145.  6.00e-3   0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  0.006    0.0181
2 2007-02-02  24.0 SPY    145.  1.40e-3   0.0186   0.0243   0.0509    0.128    0.271    0.280 GLD    64.3 -0.0144   0.0028
3 2007-02-05  24.1 SPY    145.  3.00e-4   0.0197   0.0224   0.0584    0.141    0.273    0.286 GLD    64.3  0.0005   0.0085
4 2007-02-07  24.9 SPY    145.  2.20e-3   0.0102   0.0285   0.0635    0.147    0.283    0.330 GLD    64.6 -0.0025  -0.0031
5 2007-02-08  25.1 SPY    145. -1.30e-3   0.0028   0.028    0.0503    0.156    0.267    0.334 GLD    65.5  0.0138   0.0046
6 2007-02-09  25.1 SPY    144. -7.40e-3  -0.006    0.017    0.0385    0.137    0.257    0.332 GLD    66.1  0.0092   0.0286
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart